Large deviations of local times of Levy processes

Authors
Citation
R. Blackburn, Large deviations of local times of Levy processes, J THEOR PR, 13(3), 2000, pp. 825-842
Citations number
12
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF THEORETICAL PROBABILITY
ISSN journal
08949840 → ACNP
Volume
13
Issue
3
Year of publication
2000
Pages
825 - 842
Database
ISI
SICI code
0894-9840(200007)13:3<825:LDOLTO>2.0.ZU;2-7
Abstract
For X(t) a real-valued symmetric Levy process. its characteristic function is E(e(i lambda X(t))) = exp( - t psi(lambda)). Assume that psi is regularl y varying at infinity with index 1 < beta less than or equal to 2. Let L-t( x) denote the local time of X(t) and L-t* = sup(x is an element of R) L-t(x ). Estimates are obtained for P(L-t(0) greater than or equal to y) and P(L- t* greater than or equal to y) as y --> infinity and t fixed.